Amendments to Seven (7) NYMEX Electricity Products

To

Members, Member Firms and Market Users

From

Research and Product Development

#

SER-6772

Notice Date

06 August 2013

Effective Date

25 August 2013

Effective Sunday, August 25, 2013, for trade date Monday, August 26, 2013,and pending all relevant CFTC regulatory review periods, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will amend the terms and conditions of seven (7) electricity futures and option contracts. Many of these changes are administrative in nature, as they update the contract titles and, in the case of the option contracts, the names of the underlying futures contracts. The contract rules are also being updated to reflect the current rulebook standards.

With regard to the PJM PEPCO Zone Peak Calendar-Month Day-Ahead LMP Futures contract (Code R8) and the PJM PSEG Zone Peak Calendar-Month Day-Ahead LMP Futures contract (Code L6), administrative changes are being made to add “5 MW” to the title and to remove the variable quantity unit language from the rules.

The titles of the PJM PEPCO Zone Peak Calendar-Month Day-Ahead LMP Option contract (Code PEP) and the PJM PSEG Zone Peak Calendar-Month Day-Ahead LMP Option contract (Code PSG) are also being amended to add “5 MW” futures and to conform the rules to the current rulebook style. No other changes are being made to the option contracts.

The PJM West Hub RT 50 MW Off-peak Option (Code N9P) is being amended to clearly indicate that a trader receives 10 underlying futures contracts per off-peak hour when the option is exercised. The option currently performs in this manner. In addition, the variable quantity unit language is being removed from the rules. Lastly, the position limit language is being replaced with standard language used by the Exchange.

All seven (7) contracts are listed for trading on CME Globex and the NYMEX trading floor, as well as for submission for clearing through CME ClearPort.

The Floating Price for each contract month will be equal to the arithmetic average of the PJM PEPCO Zone Day-Ahead LMP for peak hours provided by PJM Interconnection, LLC (PJM) for the contract month. For settlement of this contract, the prices provided by PJM will be considered final on the payment date stated in Rule 168.10 and will not be subject to any further adjustment.

168.05. CONTRACT QUANTITY AND VALUE

The contract quantity shall be 80 Megawatt Hours (MWH) and is based on 5 megawatts for peak daily hours. Transaction sizes for trading in any delivery month shall be restricted to whole number multiples of the number of peak days in the month. Each futures contract shall be valued at the contract quantity multiplied by the settlement price.

Chapter 924

PJM PEPCO Zone Peak Calendar-Month Day-Ahead LMP 5 MW Option

924100. SCOPE OF CHAPTER

This chapter is limited in application to put and call options on PJM PEPCO Zone Peak Calendar-Month Day-Ahead LMP 5 MW Futures (R8) contracts. In addition to the rules of this chapter, transactions in options on PJM PEPCO Zone Peak Calendar-Month Day-Ahead LMP 5 MW Futures (R8) shall be subject to the general rules of the Exchange insofar as applicable.

924101. OPTION CHARACTERISTICS

The number of months open for trading at a given time shall be determined by the Exchange.

924101.A. Trading Schedule

The hours of trading for this contract shall be determined by the Exchange.

924101.B. Trading Unit

A PJM PEPCO Zone Peak Calendar-Month Day-Ahead LMP 5 MW put or call option traded on the Exchange represents an option to assume a short or long position in the underlying PJM PEPCO Zone Peak Calendar-Month Day-Ahead LMP 5 MW Futures (R8) contract at the strike price.

924101.C. Price Increments

Prices shall be quoted in dollars and cents per megawatt hour (MWh). The minimum price increment shall be $0.01 per MWh. The contract shall not be subject to price fluctuation limitations.

924101.D. Position Limits, Exemptions, Position Accountability and Reportable Levels

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special Notices Section of Chapter 5.

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the Market Regulation Department on forms provided by the Exchange, and the Market Regulation Department may grant qualified exemptions in its sole discretion.

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions from the specified position limits.

924101.E. Termination of Trading

The option contract shall expire on the second to last business day of the calendar month immediately preceding the contract month.

924101.F. Type Option

The option is an American-style option.

924102. EXERCISE PRICES

Trading shall be conducted for options with strike prices in increments as set forth below.

(A) On the first business day of trading in an option contract month, trading shall be at the following strike prices: (i) the previous day's settlement price for the PJM PEPCO Zone Peak Calendar-Month Day-Ahead LMP 5 MW Futures (R8) contract rounded off to the nearest fifty-cent increment, unless such settlement price is precisely midway between two fifty-cent increments in which case it shall be rounded off to the lower fifty-cent increment; (ii) the five strike prices which are five fifty-cent increments higher than the strike price described in section (i) of this Rule 924.05(A); and (iii) the five strike prices which are five fifty-cent increments lower than the strike price described in section (i) of this Rule 924.05(A).

(B) Thereafter, on any business day prior to the expiration of the option, new consecutive strike prices for both puts and calls will be added, such that at all times there will be at least five fifty-cent increment strike prices above and below the at-the-money strike price available for trading in all option contract months. The at-the-money strike price will be determined in accordance with the procedures set forth in Subsection (A) of this Rule 924.05.

(C) Notwithstanding the provisions of subsections (A) and (B) of this Rule, if the Exchange determines that trading in the option contract will be facilitated thereby, the Exchange may, by resolution, change the increments between strike prices, the number of strike prices which shall be traded on the first day in any new option contract month, the number of new strike prices which will be introduced on each business day or the period preceding the expiration of the contract in which no new strike prices may be introduced.

924103. DISCLAIMER

NEITHER NEW YORK MERCANTILE EXCHANGE, INC. (“NYMEX”) ITS AFFILIATES NOR PJM INTERCONNECTION LLC (“PJM”) GUARANTEES THE ACCURACY NOR COMPLETENESS OF THE PRICE ASSESSMENT OR ANY OF THE DATA INCLUDED THEREIN.

NYMEX, ITS AFFILIATES OR PJM MAKE NO WARRANTIES, EXPRESS OR IMPLIED, AS TO THE RESULTS TO BE OBTAINED BY ANY PERSON OR ENTITY FROM USE OF THE PRICE ASSESSMENT, TRADING AND/OR CLEARING BASED ON THE PRICE ASSESSMENT, OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE TRADING AND/OR CLEARING OF THE CONTRACT, OR, FOR ANY OTHER USE. NYMEX, ITS AFFILIATES AND PJM MAKE NO WARRANTIES, EXPRESS OR IMPLIED, AND HEREBY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE PRICE ASSESSMENT OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL NYMEX, ITS AFFILIATES OR PJM HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

924.01 EXPIRATION

The option contract shall expire on the second to last business day of the calendar month immediately preceding the contract month.

924.02 TYPE OF OPTION

A Put or Call Option traded on the Exchange represents an option to assume a short or long position in the underlying PJM PEPCO Zone Peak Calendar-Month Day-Ahead LMP Futures (R8) traded on the Exchange.

924.03 TRADING MONTHS

Trading shall be conducted in the months determined by the Exchange.

924.04 HOURS OF TRADING

The option contract is available for open outcry trading on the Exchange trading floor between 9:00 a.m. and 2:30 p.m. (New York Prevailing time) Monday through Friday, except on Exchange Holidays.

The option contract is available for clearing through CME ClearPort® from 6:00 p.m. Sundays through 5:15 p.m. Fridays (New York Prevailing time), with a 45-minute break each day between 5:15 p.m. and 6:00 p.m., except on Exchange Holidays.

924.05 STRIKE PRICES

Trading shall be conducted for options with strike prices in increments as set forth below.

(A) On the first business day of trading in an option contract month, trading shall be at the following strike prices: (i) the previous day's settlement price for the PJM PEPCO Zone Peak Calendar-Month Day-Ahead LMP Futures (R8) contract rounded off to the nearest fifty-cent increment, unless such settlement price is precisely midway between two fifty-cent increments in which case it shall be rounded off to the lower fifty-cent increment; (ii) the five strike prices which are five fifty-cent increments higher than the strike price described in section (i) of this Rule 924.05(A); and (iii) the five strike prices which are five fifty-cent increments lower than the strike price described in section (i) of this Rule 924.05(A).

(B) Thereafter, on any business day prior to the expiration of the option, new consecutive strike prices for both puts and calls will be added, such that at all times there will be at least five fifty-cent increment strike prices above and below the at-the-money strike price available for trading in all option contract months. The at-the-money strike price will be determined in accordance with the procedures set forth in Subsection (A) of this Rule 924.05.

(C) Notwithstanding the provisions of subsections (A) and (B) of this Rule, if the Exchange determines that trading in the option contract will be facilitated thereby, the Exchange may, by resolution, change the increments between strike prices, the number of strike prices which shall be traded on the first day in any new option contract month, the number of new strike prices which will be introduced on each business day or the period preceding the expiration of the contract in which no new strike prices may be introduced.

924.06 PRICES

Prices shall be quoted in dollars and cents per megawatt hour (MWh). The minimum price increment shall be $0.01 per MWh.

924.07 ABSENCE OF PRICE FLUCTUATION LIMITATIONS

The contract shall not be subject to price fluctuation limitations.

Chapter 172

PJM PSEG Zone Peak Calendar-Month Day-Ahead LMP 5 MW Futures

172.02 FLOATING PRICE

The Floating Price for each contract month will be equal to the arithmetic average of the PJM PSEG Zone Day-Ahead LMP for peak hours provided by PJM Interconnection, LLC (PJM) for the contract month. For settlement of this contract, the prices provided by PJM will be considered final on the payment date stated in Rule 172.10 and will not be subject to any further adjustment..

172.05. CONTRACT QUANTITY AND VALUE

The contract quantity shall be 80 Megawatt Hours (MWH) and is based on 5 megawatts for peak daily hours. Transaction sizes for trading in any delivery month shall be restricted to whole number multiples of the number of peak days in the month. Each futures contract shall be valued at the contract quantity multiplied by the settlement price.

Chapter 922

PJM PSEG Zone Peak Calendar-Month Day-Ahead LMP 5 MW Option

922100. SCOPE OF CHAPTER

This chapter is limited in application to put and call options on PJM PSEG Zone Peak Calendar-Month Day-Ahead LMP 5 MW Futures (L6) contracts. In addition to the rules of this chapter, transactions in options on PJM PSEG Zone Peak Calendar-Month Day-Ahead LMP 5 MW Futures (L6) shall be subject to the general rules of the Exchange insofar as applicable.

922101. OPTION CHARACTERISTICS

The number of months open for trading at a given time shall be determined by the Exchange.

922101.A. Trading Schedule

The hours of trading for this contract shall be determined by the Exchange.

922101.B. Trading Unit

A PJM PSEG Zone Peak Calendar-Month Day-Ahead LMP 5 MW put or call option traded on the Exchange represents an option to assume a short or long position in the underlying PJM PSEG Zone Peak Calendar-Month Day-Ahead LMP 5 MW Futures (L6) contract at the strike price.

922101.C. Price Increments

Prices shall be quoted in dollars and cents per megawatt hour (MWh). The minimum price increment shall be $0.01 per MWh. The contract shall not be subject to price fluctuation limitations.

922101.D. Position Limits, Exemptions, Position Accountability and Reportable Levels

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special Notices Section of Chapter 5.

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the Market Regulation Department on forms provided by the Exchange, and the Market Regulation Department may grant qualified exemptions in its sole discretion.

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions from the specified position limits.

922101.E. Termination of Trading

The option contract shall expire on the second to last business day of the calendar month immediately preceding the contract month.

922101.F. Type Option

The option is an American-style option.

922102. EXERCISE PRICES

Trading shall be conducted for options with strike prices in increments as set forth below.

(A) On the first business day of trading in an option contract month, trading shall be at the following strike prices: (i) the previous day's settlement price for the underlying PJM PSEG Zone Peak Calendar-Month Day-Ahead LMP 5 MW Futures (L6) contract rounded off to the nearest fifty-cent increment, unless such settlement price is precisely midway between two fifty-cent increments in which case it shall be rounded off to the lower fifty-cent increment; (ii) the five strike prices which are five fifty-cent increments higher than the strike price described in section (i) of this Rule 922.05(A); and (iii) the five strike prices which are five fifty-cent increments lower than the strike price described in section (i) of this Rule 922.05(A).

(B) Thereafter, on any business day prior to the expiration of the option, new consecutive strike prices for both puts and calls will be added, such that at all times there will be at least five fifty-cent increment strike prices above and below the at-the-money strike price available for trading in all option contract months. The at-the-money strike price will be determined in accordance with the procedures set forth in Subsection (A) of this Rule 922.05.

(C) Notwithstanding the provisions of subsections (A) and (B) of this Rule, if the Exchange determines that trading in the option contract will be facilitated thereby, the Exchange may, by resolution, change the increments between strike prices, the number of strike prices which shall be traded on the first day in any new option contract month, the number of new strike prices which will be introduced on each business day or the period preceding the expiration of the option contract in which no new strike prices may be introduced.

NYMEX, ITS AFFILIATES OR PJM MAKE NO WARRANTIES, EXPRESS OR IMPLIED, AS TO THE RESULTS TO BE OBTAINED BY ANY PERSON OR ENTITY FROM USE OF THE PRICE ASSESSMENT, TRADING AND/OR CLEARING BASED ON THE PRICE ASSESSMENT, OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE TRADING AND/OR CLEARING OF THE CONTRACT, OR, FOR ANY OTHER USE. NYMEX, ITS AFFILIATES AND PJM MAKE NO WARRANTIES, EXPRESS OR IMPLIED, AND HEREBY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE PRICE ASSESSMENT OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL NYMEX, ITS AFFILIATES OR PJM HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

922.01 EXPIRATION

The option contract shall expire on the second to last business day of the calendar month immediately preceding the contract month.

922.02 TYPE OF OPTION

A Put or Call Option traded on the Exchange represents an option to assume a short or long position in the underlying PJM PSEG Zone Peak Calendar-Month Day-Ahead LMP Futures (L6) traded on the Exchange.

922.03 TRADING MONTHS

Trading shall be conducted in the months determined by the Exchange.

922.04 HOURS OF TRADING

The option contract is available for open outcry trading on the Exchange trading floor between 9:00 a.m. and 2:30 p.m. (New York Prevailing time) Monday through Friday, except on Exchange Holidays.

The option contract is available for clearing through CME ClearPort® from 6:00 p.m. Sundays through 5:15 p.m. Fridays (New York Prevailing time), with a 45-minute break each day between 5:15 p.m. and 6:00 p.m., except on Exchange Holidays.

922.05 STRIKE PRICES

Trading shall be conducted for options with strike prices in increments as set forth below.

(A) On the first business day of trading in an option contract month, trading shall be at the following strike prices: (i) the previous day's settlement price for the underlying PJM PSEG Zone Peak Calendar-Month Day-Ahead LMP Futures (L6) contract rounded off to the nearest fifty-cent increment, unless such settlement price is precisely midway between two fifty-cent increments in which case it shall be rounded off to the lower fifty-cent increment; (ii) the five strike prices which are five fifty-cent increments higher than the strike price described in section (i) of this Rule 922.05(A); and (iii) the five strike prices which are five fifty-cent increments lower than the strike price described in section (i) of this Rule 922.05(A).

(B) Thereafter, on any business day prior to the expiration of the option, new consecutive strike prices for both puts and calls will be added, such that at all times there will be at least five fifty-cent increment strike prices above and below the at-the-money strike price available for trading in all option contract months. The at-the-money strike price will be determined in accordance with the procedures set forth in Subsection (A) of this Rule 922.05.

(C) Notwithstanding the provisions of subsections (A) and (B) of this Rule, if the Exchange determines that trading in the option contract will be facilitated thereby, the Exchange may, by resolution, change the increments between strike prices, the number of strike prices which shall be traded on the first day in any new option contract month, the number of new strike prices which will be introduced on each business day or the period preceding the expiration of the option contract in which no new strike prices may be introduced.

922.06 PRICES

Prices shall be quoted in dollars and cents per megawatt hour (MWh). The minimum price increment shall be $0.01 per MWh.

922.07 ABSENCE OF PRICE FLUCTUATION LIMITATIONS

The option contract shall not be subject to price fluctuation limitations.

Chapter 1179

PJM West Hub RTReal-Time 50 MW Off-Peak Option

1179100. SCOPE OF CHAPTER

This chapter is limited in application to put and call options on PJM Western Hub Real-Time Off-Peak Calendar-Month Real-Time LMP Swap5 MW futures Futures contract. In addition to the rules of this chapter, transactions in options on PJM Western Hub Real-Time Off-Peak Calendar-Month Real-Time LMP Swap 5 MWfuturesFutures shall be subject to the general rules of the Exchange insofar as applicable.

1179101. OPTION CHARACTERISTICS

The number of months open for trading at a given time shall be determined by the Exchange.

1179101.A. Trading Schedule

The hours of trading for this contract shall be determined by the Exchange.

1179101.B. Trading Unit

A PJM West Hub RTReal-Time 50 MW Off-Peak Call Option traded on the Exchange represents an option to assume ten long positions per off-peak hour in the underlying PJM Western Hub Real-Time Off-Peak Calendar-Month Real-Time LMP Swap5 MWfuturesFutures contracts. A PJM West Hub RTReal-Time 50 MW Off-Peak Put Option traded on the Exchange represents an option to assume ten short positions per off-peak hour in the

underlying PJM Western Hub Real-Time Off-Peak Calendar-Month Real-Time LMP Swap5 MWfuturesFutures contracts. Transaction sizes for trading in any delivery month shall be restricted to whole number multiples of the number of off-peak hours in the month.

1179101.C. Price Increments

Prices shall be quoted in dollars and cents per megawatt hour (MWh) and prices shall be in multiples of $0.01 per MWh. The minimum price increment will be $0.01.

1179101.D. Position Limits and Position Accountability

For purposes of calculating compliance with position limits, each contract will be aggregated with positions held in PJM Off-Peak Calendar-Month LMP Swap futures. Each position in the contract will be calculated as a single position in the PJM Off-Peak Calendar-Month LMP Swap futures contract.

In accordance with Rule 559, no person shall own or control positions in excess of 600 PJM Off-Peak Calendar-Month LMP Swap futures-equivalent contracts net long or net short in the spot month.

2. the any-one month accountability level shall be 3,000 PJM Off-Peak Calendar-Month LMP Swap futures-equivalent contracts net long or net short in any single contract month excluding the spot month.

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions from the specified position limits.

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special Notices Section of Chapter 5.

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the Market Regulation Department on forms provided by the Exchange, and the Market Regulation Department may grant qualified exemptions in its sole discretion.

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions from the specified position limits.

1179101.E. Termination of Trading

The option contract shall expire at the close of trading two business days prior to the contract month.

1179101.F. Type Option

The option is an American-style option which can be exercised on any business day prior to and until expiration day.

1179102. EXERCISE PRICES

(A) On the first business day of trading in an option contract month, trading shall be at the following strike prices: (i) the previous day's settlement price for PJM Western Hub Real-Time Off-Peak Calendar-Month Real-Time LMP Swap5 MWfuturesFutures contracts in the corresponding delivery month rounded off to the nearest fifty cent increment strike price unless such settlement price is precisely midway between two fifty cent increment strike prices in which case it shall be rounded off to the lower fifty cent increment strike price and (ii) the strike price which is one fifty cent increment higher than the strike price described in subsection (A)(i) of this rule and (iii) the strike price which is one fifty cent increment lower than the strike price described in subsection (A)(i) of this rule.

(B) Thereafter, on any business day prior to the expiration of the option, new consecutive fifty cent increment strike prices for both puts and calls will be added such that at all times there will be at least one fifty cent increment strike prices above and below the at-the-money strike price available for trading in all options contract months.

(C) Notwithstanding the provisions of subsections (A) and (B) of this rule, if the Exchange determines that trading in PJM West Hub RTReal-Time 50 MW Off-Peak Option will be facilitated thereby, the Exchange may, by resolution, change the increments between strike prices, the number of strike prices which shall be traded on the first day in any new option contract month, the number of new strike prices which will be introduced on each business day or the period

preceding the expiration of a PJM West Hub RTReal-Time 50 MW Off-Peak Option in which no new strike prices may be introduced.

1179103. DISCLAIMER

NEITHER NEW YORK MERCANTILE EXCHANGE, INC. (“NYMEX”) ITS AFFILIATES NOR PJM INTERCONNECTION LLC (“PJM”) GUARANTEES THE ACCURACY NOR COMPLETENESS OF THE PRICE ASSESSMENT OR ANY OF THE DATA INCLUDED THEREIN.

NYMEX, ITS AFFILIATES OR PJM MAKE NO WARRANTIES, EXPRESS OR IMPLIED, AS TO THE RESULTS TO BE OBTAINED BY ANY PERSON OR ENTITY FROM USE OF THE PRICE ASSESSMENT, TRADING AND/OR CLEARING BASED ON THE PRICE ASSESSMENT, OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE TRADING AND/OR CLEARING OF THE CONTRACT, OR, FOR ANY OTHER USE. NYMEX, ITS AFFILIATES AND PJM MAKE NO WARRANTIES, EXPRESS OR IMPLIED, AND HEREBY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE PRICE ASSESSMENT OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO

EVENT SHALL NYMEX, ITS AFFILIATES OR PJM HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

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CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.